Search found 35 matches

by RonSea
Wed Feb 24, 2021 11:06 pm
Forum: Investing - Theory, News & General
Topic: Simulating Returns of Leveraged ETFs
Replies: 322
Views: 45662

Re: Simulating Returns of Leveraged ETFs

After some meandering, I finally came back to updating our backtesting spreadsheet (aka Simba), customized with LETF annual returns. This includes my latest research about historical numbers, so the data is a tad different from what I shared a couple of years ago, although the big picture shouldn't...
by RonSea
Wed Feb 24, 2021 12:30 pm
Forum: Investing - Theory, News & General
Topic: Cheapest ways to Long Volatility / Hedge against equity volatility?
Replies: 24
Views: 1328

Re: Cheapest ways to Long Volatility / Hedge against equity volatility?

The best hedge against equity volatility is less equity. After this, look beyond TSM indexing to low volatility strategies, or small cap, or value. That may help to a limited degree. Look beyond bonds to some gold. The most contentious hedge would be equity trend following, which lacks the continua...
by RonSea
Tue Feb 23, 2021 5:37 pm
Forum: Investing - Theory, News & General
Topic: Cheapest ways to Long Volatility / Hedge against equity volatility?
Replies: 24
Views: 1328

Re: Cheapest ways to Long Volatility / Hedge against equity volatility?

Appreciate the comments everyone! The strategy for purposes of the paper is given in most detail on pg 43 in the notes: you'd be long 2.5% above the money SPX calls only when the index is up 5+% in the previous 63 trading days and long 2.5% below the money puts when the index is down 5+% in previous...
by RonSea
Tue Feb 23, 2021 5:04 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

One theory about rebalancing is that the rebalancing bonus is the direct result of mean reversion within the assets being rebalanced. If so, then rebalancing should be done at intervals that are similar to the time periods over which mean reversion is seen. William F. Bernstein says this, and he is...
by RonSea
Mon Feb 22, 2021 8:50 pm
Forum: Investing - Theory, News & General
Topic: Cheapest ways to Long Volatility / Hedge against equity volatility?
Replies: 24
Views: 1328

Cheapest ways to Long Volatility / Hedge against equity volatility?

After reading about the Dragon Portfolio I'm interested in finding an easy way to long volatility -- preferably without using options. I know there's VXX, TAIL, VIXY, etc but even a tiny position in them doesn't seem worthwhile compared to just reducing equities exposure. Someone on Reddit mentioned...
by RonSea
Sat Feb 20, 2021 11:32 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I have read an article about the risk of this portfolio. Would like to know how you guys reckon. https://www.mindfullyinvesting.com/why-not-use-leverage-another-tug-on-the-lever/ Uh, there's one large issue in that the author's calculations assume a perfectly positive TMF-UPRO correlation of 1.0. T...
by RonSea
Fri Feb 19, 2021 6:29 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

After looking into VIX funds, I'm skeptical that they're a worthwhile hedge right now. Why? First, because today's equity valuations are under the assumption of pretty significant growth (~8.2% per year is the consensus). If growth estimates start to falter then equities could start tanking without ...
by RonSea
Fri Feb 19, 2021 2:18 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

For the S&P 500, long-term optimal leverage has been about 3x. With quarterly rebalancing the optimal leverage is probably even higher. It's only for more volatile funds / markets that the optimal leverage begins to drop. https://i2.wp.com/deepvalueetfaccumulator.com/wp-content/uploads/2018/07/d...
by RonSea
Sat Feb 06, 2021 6:26 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I’m thinking about starting my retirement account with the list below. It’s essentially the Ray Dalio all weather portfolio but with a 2x margin (I’m 28 so lots of time and willing to put up with a lot of volatility.) I was contemplating the 3x but as everyone has said it’s more of a gamble instead...
by RonSea
Tue Feb 02, 2021 1:22 am
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

Has anyone looked into the predictability of stock-bond correlations? My best guess is recent correlations can offer slight predictions of near-future correlations, but I haven't done any calculations yet. Has anyone looked into this, or other factors besides recent-correlations that may help predic...
by RonSea
Wed Jan 27, 2021 6:35 pm
Forum: Investing - Theory, News & General
Topic: U.S. stocks in free fall
Replies: 21882
Views: 2929637

Re: U.S. stocks in free fall

Very difficult market all of a sudden. Not sure what happened; hard to imagine the GME stuff causing all this. I see lots of blame on GME but that seems false considering world markets all crashed. Just seems like a normal correction to me. An even larger correction could easily be coming consideri...
by RonSea
Tue Jan 26, 2021 12:13 am
Forum: Investing - Theory, News & General
Topic: “New Bitcoin Investors Explain Why They’re Buying at Record Prices“
Replies: 862
Views: 53324

Re: “New Bitcoin Investors Explain Why They’re Buying at Record Prices“

Well, here is another group of investors that are buying Bitcoin. I wonder why these new investors are buying at record prices? Must not be so smart: Harvard, Yale, Brown Endowments Have Been Buying Bitcoin for at Least a Year: Sources https://www.coindesk.com/harvard-yale-brown-endowments-have-bee...
by RonSea
Mon Jan 25, 2021 1:16 am
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 139
Views: 9387

Re: Vanguard Multifactor fund VFMF has had a bad year

So it had low returns because the price is rising? I guess I’m just not seeing a goldrush mentality and hordes of people rushing into SCV in the last few years compared with everyone buying QQQ and TSLA No, it could have become overvalued after it's massive rise from 1930-1980 and has since been co...
by RonSea
Mon Jan 25, 2021 12:45 am
Forum: Investing - Theory, News & General
Topic: Vanguard Multifactor fund VFMF has had a bad year
Replies: 139
Views: 9387

Re: Vanguard Multifactor fund VFMF has had a bad year

Are you insinuating that SCV had high prices because of recent demand, and large-cap/total market had low prices because of low demand, thus explaining the poor factor returns for the last few years? That seems exactly counter to intuition Perhaps SCV has had low returns because its price has risen...
by RonSea
Sat Jan 23, 2021 6:16 pm
Forum: Investing - Theory, News & General
Topic: Mando's Risk Parity Strategy [Hedgefundie's EA modification]
Replies: 24
Views: 2666

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Earlier I mentioned that I could never see TYD be worth holding over EDV because of its expense ratio but after looking into it more I've completely changed my mind. TYD seems to have significant advantages over EDV. Even with the expenses TYD has higher CAGR, lower stdev, and more negative market c...
by RonSea
Fri Jan 22, 2021 12:35 am
Forum: Investing - Theory, News & General
Topic: GMO 7 year forecast for Asset classes
Replies: 22
Views: 1392

Re: GMO 7 year forecast for Asset classes

https://www.mymoneyblog.com/wordpress/wp-content/uploads/2018/08/GMO_2011-2018-720x491.jpg https://3.bp.blogspot.com/-gJbxpww2yxY/UtbcN3Oh9II/AAAAAAAAYnk/rp6C4CVd5WQ/s1600/GMO+7-Year+2014.png ...Why would anyone keep reading these? Sure he'll eventually be [temporarily] right but the people trustin...
by RonSea
Thu Jan 21, 2021 2:38 pm
Forum: Investing - Theory, News & General
Topic: Mando's Risk Parity Strategy [Hedgefundie's EA modification]
Replies: 24
Views: 2666

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

After looking into it more (both from simulations and siamond's thread) I'm pretty impressed by how well the smaller-capped 3x etfs perform. 28% small cap still seems wayyyy too high to be comfortable but I now see the decent argument for including mid or small caps in a risk-parity HEFE portfolio. ...
by RonSea
Wed Jan 20, 2021 1:34 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

I see that this thread remains popular, attracting curious newcomers. I will gently restate my own experience for their consideration, as I also found the strategy compelling. Around December 2019, I committed a significant % of my portfolio to this strategy. Approximately 70/30 UPRO/TMF if memory ...
by RonSea
Tue Jan 19, 2021 5:49 pm
Forum: Investing - Theory, News & General
Topic: HEDGEFUNDIE's excellent adventure Part II: The next journey
Replies: 7823
Views: 765591

Re: HEDGEFUNDIE's excellent adventure Part II: The next journey

What are people's thoughts on 43% UPRO/57% EDV vs. 100% NTSX? Seem similar in theory. UPRO/EDV is essentially 186% leverage and 69% weighted toward equities, whereas NTSX is 150%, but lower expense ratio and 60% equities. Right now I'm doing 55% UPRO/45% TMF in tax-advantaged, and mostly NTSX and o...
by RonSea
Tue Jan 19, 2021 3:04 pm
Forum: Investing - Theory, News & General
Topic: Mando's Risk Parity Strategy [Hedgefundie's EA modification]
Replies: 24
Views: 2666

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Mando 2 Portfolio:
111% bonds (96% ITT, 15% LTT)
124% equities (84% small, 16% mid, 24% large)
22% gold
by RonSea
Tue Jan 19, 2021 12:27 pm
Forum: Investing - Theory, News & General
Topic: Mando's Risk Parity Strategy [Hedgefundie's EA modification]
Replies: 24
Views: 2666

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Yeah, I agree with the assessment of the small cap volatility issue. As a way to stay true to the data as I am an engineer :D , I left it alone and part of the results. It does follow reasonably well to the small cap ETF's. You can see in my original post on the geometric efficient frontier that 3x...
by RonSea
Tue Jan 19, 2021 1:50 am
Forum: Investing - Theory, News & General
Topic: Mando's Risk Parity Strategy [Hedgefundie's EA modification]
Replies: 24
Views: 2666

Re: Mando's Risk Parity Strategy [Hedgefundie's EA modification]

Following this -- the strategy requirements you laid out are almost identical to what I've been thinking about lately. This is perfect timing too as I've been considering replacing PSLDX in my ROTH with a lower-risk HEFE strategy. The information you've laid out will definitely help a ton. As for my...
by RonSea
Mon Jan 18, 2021 12:36 am
Forum: Investing - Theory, News & General
Topic: IVOL<== best TIPS ETF?
Replies: 24
Views: 2862

Re: IVOL<== best TIPS ETF?

??? My expectation is for 2s10s to continue steepen based on 1) the short end pinned by Fed, and 2) headline inflation to heat up in 1H'21 based on YoY comparison against 1H'20 -- possible deleterious effects from B117 still to be seen. The Fed is on record saying they will let inflation run hot so...
by RonSea
Sun Jan 17, 2021 11:37 pm
Forum: Investing - Theory, News & General
Topic: IVOL<== best TIPS ETF?
Replies: 24
Views: 2862

Re: IVOL<== best TIPS ETF?

I don't know enough about how/why yield curves flatten but I'm guessing there are more-simple / cheaper ways to accomplish what IVOL does. Such as? I don't know how to trade interest rate futures and I don't think it can be easily replicated with ZN/ZT. Of course thematically one can buy financials...
by RonSea
Sun Jan 17, 2021 5:13 pm
Forum: Investing - Theory, News & General
Topic: Why not 100% PSLDX?
Replies: 812
Views: 91005

Re: Why not 100% PSLDX?

Does anyone add VXX / VIXY to their portfolio? [....] VIX definitely has a negative relationship with US equity markets, particularly when SPX experiences a pronounced move. The problem with investing in an ETF that owns VIX futures is that the futures don't move nearly as much as the VIX, so you a...
by RonSea
Sat Jan 16, 2021 6:04 pm
Forum: Investing - Theory, News & General
Topic: Risk Parity ETF launched (RPAR)
Replies: 60
Views: 8335

Re: Risk Parity ETF launched (RPAR)

If anyone ever wants to play around with this in portfolio visualizer this seems to be an approximate simulation: https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2021&lastMonth=12&calendarAligned=true&includeYTD=...
by RonSea
Sat Jan 16, 2021 2:56 pm
Forum: Investing - Theory, News & General
Topic: Why not 100% PSLDX?
Replies: 812
Views: 91005

Re: Why not 100% PSLDX?

Does anyone add VXX / VIXY to their portfolio? For the past few months I've held 90% PSLDX 5% IAU 5% JPST in my roth. 3-4% VIXY does well at reducing volatility in backtesting (https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1986&firstMonth=1&endYear...
by RonSea
Fri Jan 15, 2021 2:15 pm
Forum: Investing - Theory, News & General
Topic: IVOL<== best TIPS ETF?
Replies: 24
Views: 2862

Re: IVOL<== best TIPS ETF?

So this fund (made-up of 85% SCHP) has done well because of near-constant increase in the 10-Y minus 2-Y treasury yields (https://fred.stlouisfed.org/series/T10Y2Y) since its inception. During periods when this rate decreases is underperforms SCHP (https://www.portfoliovisualizer.com/backtest-portfo...
by RonSea
Fri Jan 08, 2021 11:31 pm
Forum: Investing - Theory, News & General
Topic: If you bought Bitcoin, when do you plan to sell?
Replies: 396
Views: 30099

Re: If you bought Bitcoin, when do you plan to sell?

It seems like both sides are dug in. Let's let the market decide. True. There is no way to know what side (although there's arguably many sides to this conversation) is correct until we wait and see. I feel it may be years or potentially decades before it's obvious. I would certainly be willing to ...
by RonSea
Fri Jan 08, 2021 4:47 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 U.S. Balanced Fund [NTSX]
Replies: 462
Views: 62760

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

After a bit more research and consideration I've decided on my 2021 portfolio. I tried to simulate the portfolio's performance in 2008 and it went okay https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&am...
by RonSea
Wed Jan 06, 2021 1:36 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 U.S. Balanced Fund [NTSX]
Replies: 462
Views: 62760

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

These backtested portfolios are fun, but I don't see how they can be replicated going forward. For starters Long Term Treasury yields are significantly low compared to a decade or two ago. I don't think even NTSX has too much wiggle room considering the low interim yields. In any case, NTSX continu...
by RonSea
Wed Jan 06, 2021 11:59 am
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 U.S. Balanced Fund [NTSX]
Replies: 462
Views: 62760

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

After thinking it over and reading the thread about improving the all seasons portfolio https://www.bogleheads.org/forum/viewtopic.php?t=206028&start=300 I'm liking the idea of using RPAR in combination with NTSX. RPAR probably isn't worth the expense ratio for most but I like its simplicity whe...
by RonSea
Tue Jan 05, 2021 3:49 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 U.S. Balanced Fund [NTSX]
Replies: 462
Views: 62760

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Thoughts on adding international, perhaps VSS?
by RonSea
Mon Jan 04, 2021 7:54 pm
Forum: Investing - Theory, News & General
Topic: WisdomTree 90/60 U.S. Balanced Fund [NTSX]
Replies: 462
Views: 62760

Re: WisdomTree 90/60 U.S. Balanced Fund [NTSX]

Approx backtest to 1991: ( https://www.portfoliovisualizer.com/backtest-portfolio?s=y&timePeriod=2&startYear=1985&firstMonth=1&endYear=2020&lastMonth=12&calendarAligned=true&includeYTD=false&initialAmount=10000&annualOperation=0&annualAdjustment=3000&infla...